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NYU: Finance Working Papers (Topic)

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Viewing: 1 - 50 of 793 papers

1.

Understanding the Subprime Mortgage Crisis

Number of pages: 40 Posted: 10 Oct 2007 Last Revised: 20 Jun 2009
Working Paper Series
Federal Reserve Banks - Federal Reserve Bank of Cleveland and Man AHL
Downloads 42,949
2.

Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly

NYU Working Paper No. 2451/29593
Number of pages: 26 Posted: 06 Apr 2010 Last Revised: 10 Sep 2013
Working Paper Series
Harvard Business School, Acadian Asset Management Inc., USA and NYU Stern School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 3,745
3.

Dealing with Operating Leases in Valuation

NYU Working Paper No. FIN-99-023
Number of pages: 25 Posted: 07 Nov 2008
Working Paper Series
New York University - Stern School of Business
Downloads 2,729
4.

Valuing Credit Default Swaps I: No Counterparty Default Risk

NYU Working Paper No. FIN-00-021
Number of pages: 35 Posted: 04 Nov 2008
Working Paper Series
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 2,704
5.

Research and Development Expenses: Implications for Profitability Measurement and Valuation

NYU Working Paper No. FIN-99-024
Number of pages: 25 Posted: 07 Nov 2008
Working Paper Series
New York University - Stern School of Business
Downloads 2,584
6.

A Reference Point Theory of Mergers and Acquisitions

AFA 2010 Atlanta Meetings Paper
Number of pages: 47 Posted: 23 Mar 2009 Last Revised: 23 Nov 2009
Working Paper Series
Harvard Business School, Harvard University and NYU Stern School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 2,437
7.

Valuing Credit Default Swaps Ii: Modeling Default Correlations

NYU Working Paper No. FIN-00-022
Number of pages: 26 Posted: 04 Nov 2008
Working Paper Series
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 2,095
8.

GARCH 101: An Introduction to the Use of Arch/Garch Models in Applied Econometrics

NYU Working Paper No. FIN-01-030
Number of pages: 25 Posted: 03 Nov 2008
Working Paper Series
New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 2,080
9.

The Persistence of Risk-Adjusted Mutual Fund Performance

NYU Working Paper No. FIN-95-018
Number of pages: 42 Posted: 11 Nov 2008
Working Paper Series
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and Gabelli School of Business, Fordham University

Multiple version iconThere are 3 versions of this paper

Downloads 2,068
10.

The Dark Side of Valuation: Firms with No Earnings, No History and No Comparables

NYU Working Paper No. FIN-99-022
Number of pages: 54 Posted: 07 Nov 2008
Working Paper Series
New York University - Stern School of Business
Downloads 1,915
11.

Illiquidity and Stock Returns: Cross-Section and Time-Series Effects

NYU Working Paper No. FIN-00-041
Number of pages: 50 Posted: 04 Nov 2008
Working Paper Series
New York University - Stern School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,914
12.

Modeling Liquidity Risk with Implications for Traditional Market Risk Measurement and Management

NYU Working Paper No. FIN-99-062
Number of pages: 16 Posted: 11 Nov 2008
Working Paper Series
Oliver, Wyman & Company, LLC., University of Pennsylvania - Department of Economics, Oliver Wyman and Oliver, Wyman & Company, LLC.
Downloads 1,689
13.

Labor Unemployment Risk and Corporate Financing Decisions

Journal of Financial Economics (JFE), Forthcoming, NYU Working Paper No. FIN-10-010
Number of pages: 58 Posted: 29 Aug 2010 Last Revised: 18 Feb 2013
Accepted Paper Series
London School of Economics & Political Science (LSE) and Northwestern University - Kellogg School of Management
Downloads 1,526
14.

Do Ceos Matter?

NYU Working Paper No. FIN-06-032
Number of pages: 35 Posted: 03 Nov 2008
Working Paper Series
INSEAD - Economics and Political Sciences, National Bureau of Economic Research (NBER) and Columbia Business School - Finance and Economics
Downloads 1,300
15.

The Wealth-Consumption Ratio

Review of Asset Pricing Studies, Forthcoming, NYU Working Paper No. FIN-08-045, AFA 2008 New Orleans Meetings Paper , EFA 2007 Ljubljana Meetings Paper
Number of pages: 110 Posted: 09 Mar 2009 Last Revised: 31 Mar 2013
Accepted Paper Series
Stanford Graduate School of Business, New York University Stern School of Business, Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 4 versions of this paper

Downloads 1,291
16.

Universal Banking and the Future of Small Business Lending

NYU Working Paper No. FIN-95-009
Number of pages: 66 Posted: 11 Nov 2008
Working Paper Series
University of South Carolina - Darla Moore School of Business and Indiana University - Kelley School of Business - Department of Finance
Downloads 1,192
17.

Financial Distress and Restructuring Models

NYU Working Paper No. FIN-94-024
Number of pages: 42 Posted: 11 Nov 2008
Working Paper Series
National Taiwan University, University of California, Los Angeles (UCLA) - Finance Area and New York University (NYU) - Salomon Center
Downloads 1,191
18.

Corporate Governance and Board Effectiveness

NYU Working Paper No. FIN-98-045
Number of pages: 60 Posted: 11 Nov 2008
Working Paper Series
New York University (NYU) - Department of Finance and University of Maryland - Robert H. Smith School of Business
Downloads 1,143
19.

The Efficient Markets Hypothesis: The Demise of the Demon of Chance?

NYU Stern School of Business FIN-09-28
Number of pages: 30 Posted: 26 Nov 2009 Last Revised: 04 Feb 2010
Working Paper Series
New York University - Stern School of Business
Downloads 1,125
20.

Dynamic Equicorrelation

NYU Working Paper No. FIN-08-038, Chicago Booth Research Paper No. 12-07, Fama-Miller Working Paper
Number of pages: 40 Posted: 09 Mar 2009 Last Revised: 10 Nov 2015
Working Paper Series
New York University - Leonard N. Stern School of Business - Department of Economics and University of Chicago - Finance
Downloads 1,060
21.

Forward Rate Volatilities, Swap Rate Volatilities, and the Implementation of the Libor Market Model

NYU Working Paper No. FIN-00-023
Number of pages: 40 Posted: 04 Nov 2008
Working Paper Series
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 1,018
22.

Does Price Fixing Benefit Corporate Managers?

NYU Working Paper No. FIN-13-002, University of St.Gallen, School of Finance Research Paper No. 2013/9
Number of pages: 56 Posted: 10 Mar 2013 Last Revised: 15 Sep 2017
Working Paper Series
VU University Amsterdam, University of St. Gallen - Swiss Institute of Banking and Finance and New York University (NYU) - Stern School of Business
Downloads 997
23.

A Rational Theory of Mutual Funds' Attention Allocation

NYU Working Paper No. 2451/28347
Number of pages: 53 Posted: 26 Jun 2013 Last Revised: 29 Oct 2015
Working Paper Series
Imperial College London - Accounting, Finance, and Macroeconomics, New York University Stern School of Business, Department of Finance and New York University - Stern School of Business
Downloads 903
24.

Liquidity Effect in OTC Options Markets: Premium or Discount?

Journal of Financial Markets, Forthcoming
Number of pages: 49 Posted: 05 Dec 2005 Last Revised: 20 Aug 2010
Working Paper Series
Indian School of Business, Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business
Downloads 861
25.

Corporate Governance and Value Creation: Evidence from Private Equity

NYU Working Paper No. 2451/27878
Number of pages: 61 Posted: 09 Mar 2009 Last Revised: 10 Sep 2013
Working Paper Series
New York University - Leonard N. Stern School of Business, HEC Paris - Strategy & Business Policy, Ludwig Maximilian University of Munich and McKinsey & Company, Inc.

Multiple version iconThere are 3 versions of this paper

Downloads 855
26.

Forecasting Volatility Using Historical Data

NYU Working Paper No. FIN-94-032
Number of pages: 48 Posted: 11 Nov 2008
Working Paper Series
New York University - Stern School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 851
27.

Behavioral Corporate Finance: A Survey

NYU Working Paper No. FIN-04-024
Number of pages: 62 Posted: 03 Nov 2008
Working Paper Series
Harvard Business School, Harvard Business School and NYU Stern School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 842
28.

Technical Trading, Predictability and Learning in Currency Markets

NYU Working Paper No. 2451/31452
Number of pages: 45 Posted: 28 Jan 2012 Last Revised: 10 Sep 2013
Working Paper Series
University College Dublin, New York University - Stern School of Business and University of Bologna - Department of Management
Downloads 806
29.

Value Creation and Enhancement: Back to the Future

NYU Working Paper No. FIN-99-018
Number of pages: 72 Posted: 07 Nov 2008
Working Paper Series
New York University - Stern School of Business
Downloads 794
30.

Capital Structure Decisions in Small and Large Firms: A Life-Cycle Theory of Financing

NYU Working Paper No. FIN-99-069
Number of pages: 47 Posted: 11 Nov 2008
Working Paper Series
Michigan State University - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 791
31.

Financing Innovations and Capital Structure Choices

NYU Working Paper No. FIN-99-020
Number of pages: 16 Posted: 07 Nov 2008
Working Paper Series
New York University - Stern School of Business
Downloads 749
32.

Modeling Market Microstructure Time Series

NYU Working Paper No. FIN-95-024
Number of pages: 76 Posted: 11 Nov 2008
Working Paper Series
New York University (NYU) - Department of Finance
Downloads 742
33.

Investor Reactions to CEOs’ Inside Debt Incentives

NYU Working Paper No. FIN-09-020
Number of pages: 51 Posted: 08 Dec 2009 Last Revised: 15 Feb 2011
Working Paper Series
Federal Reserve Banks - Federal Reserve Bank of Philadelphia and New York University (NYU) - Stern School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 725
34.

Skin or Skim? Inside Investment and Hedge Fund Performance

NYU Working Paper No. 2451/38717
Number of pages: 62 Posted: 08 Jun 2017
Working Paper Series
NYU Stern School of Business and Columbia Business School

Multiple version iconThere are 2 versions of this paper

Downloads 725
35.

New Evidence on Stock Price Effects Associated with Charges in the S&P 500 Index

NYU Working Paper No. FIN-95-028
Number of pages: 46 Posted: 11 Nov 2008
Working Paper Series
New York University (NYU) - Department of Finance and University of Notre Dame - Department of Finance
Downloads 724
36.

A Component Model for Dynamic Correlations

Journal of Econometrics, Forthcoming
Number of pages: 51 Posted: 09 Mar 2009 Last Revised: 15 Nov 2013
Accepted Paper Series
University of North Carolina Kenan-Flagler Business School, New York University - Leonard N. Stern School of Business - Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 715
37.

Estimating the Implied Risk Neutral Density

VOLATILITY AND TIME SERIES ECONOMETRICS: ESSAY IN HONOR OF ROBERT F. ENGLE, Tim Bolloerslev, Jeffrey R. Russell, Mark Watson, Oxford, UK: Oxford University Press, 2008, NYU Working Paper No. FIN-08-004
Number of pages: 44 Posted: 09 Mar 2009
Accepted Paper Series
New York University - Stern School of Business
Downloads 701
38.

The Market for Volatility Trading; Vix Futures

NYU Working Paper No. FIN-07-003
Number of pages: 30 Posted: 03 Nov 2008
Working Paper Series
New York University (NYU) - Department of Finance, affiliation not provided to SSRN and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 699
39.

The Cross-Section and Time-Series of Stock and Bond Returns

NYU Working Paper No. 2451/31423
Number of pages: 64 Posted: 13 Jan 2012 Last Revised: 16 Dec 2014
Working Paper Series
New York University (NYU) - Department of Finance, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Multiple version iconThere are 4 versions of this paper

Downloads 693
40.

The General Hull-White Model and Super Calibration

NYU Working Paper No. FIN-00-024
Number of pages: 20 Posted: 04 Nov 2008
Working Paper Series
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 680
41.

The International Transmission of Bank Liquidity Shocks: Evidence from an Emerging Market

Journal of Finance, Forthcoming, NYU Working Paper No. FIN-08-008
Number of pages: 46 Posted: 09 Mar 2009 Last Revised: 05 Sep 2011
Accepted Paper Series
New York University (NYU) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 662
42.

Individual Investor Sentiment and Stock Returns

NYU Working Paper No. FIN-04-023
Number of pages: 45 Posted: 03 Nov 2008
Working Paper Series
University of Rochester - Simon Business School, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Texas at Austin - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 658
43.

Mutual Fund's R^2 as Predictor of Performance

Forthcoming, Review of Financial Studies
Number of pages: 49 Posted: 09 Mar 2009 Last Revised: 10 Nov 2012
Accepted Paper Series
New York University - Stern School of Business and McGill University - Desautels Faculty of Management
Downloads 652
44.

Revisiting Credit Scoring Models in a Basel 2 Environment

NYU Working Paper No. FIN-02-041
Number of pages: 37 Posted: 03 Nov 2008
Working Paper Series
New York University (NYU) - Salomon Center

Multiple version iconThere are 3 versions of this paper

Downloads 644
45.

Liquidity Risk and Competition in Banking

NYU Working Paper No. FIN-07-053
Number of pages: 16 Posted: 03 Nov 2008
Working Paper Series
Hebrew University of Jerusalem - Department of Finance and Banking and Bar-Ilan University - Department of Economics
Downloads 631
46.

Program Trading and Stock Index Arbitrage

NYU Working Paper No. FIN-94-023
Number of pages: 48 Posted: 11 Nov 2008
Working Paper Series
Cornell University - School of Hotel Administration and New York University - Stern School of Business
Downloads 631
47.

Investor Sentiment in the Stock Market

NYU Working Paper No. 2451/31359, NYU Working Paper No. FIN-11-026
Number of pages: 23 Posted: 15 Dec 2011
Working Paper Series
Harvard Business School and NYU Stern School of Business

Multiple version iconThere are 4 versions of this paper

Downloads 625
48.

Fitting Vast Dimensional Time-Varying Covariance Models

NYU Working Paper No. FIN-08-009
Number of pages: 40 Posted: 09 Mar 2009 Last Revised: 16 Sep 2017
Working Paper Series
Bilkent University - Department of Economics, Harvard University, University of Oxford - Department of Economics and New York University - Leonard N. Stern School of Business - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 613
49.

Survival

NYU Working Paper No. FIN-94-021
Number of pages: 35 Posted: 11 Nov 2008
Working Paper Series
New York University - Stern School of Business, Yale School of Management - International Center for Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 576
50.

Hedge Fund Due Diligence: A Source of Alpha in a Hedge Fund Portfolio Strategy

NYU Working Paper No. FIN-07-032
Number of pages: 21 Posted: 13 Nov 2008
Working Paper Series
New York University - Stern School of Business, Attorney in New York City and University of Massachusetts Amherst - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 573